On the calculation of a robust S-estimator of a covariance matrix

Statistics in Medicine

Volumn 17, Issue 23, 1998, Pages 2685-2695

  Campbell, N A ^a   Lopuhaa H P ^b   Rousseeuw, P J ^c  

^a CSIRO   (Australia)

^b DELFT UNIVERSITY OF TECHNOLOGY   (Netherlands)

^c UNIVERSITY OF ANTWERP   (Belgium)

Author keywords

[No Author keywords available]

Indexed keywords

CALCULATION; COVARIANCE; MULTIVARIATE ANALYSIS; OBSERVATION; REVIEW;

BIOMETRY; MULTIVARIATE ANALYSIS; STATISTICS;

EID: 0032534564     PISSN: 02776715     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1097-0258(19981215)17:23<2685::AID-SIM35>3.0.CO;2-W     Document Type: Review

References (8)

1. Hampel, F. R., Ronchetti, E. M., Rousseeuw, P. J. and Stahel, W. A. Robust Statistics. The Approach Based on Influence Functions, Wiley, New York, 1986.
2. Rousseeuw, P. J. 'Multivariate estimation with high breakdown point', in Grossman, W., Pflug, G., Vince, I. and Wertz, W. (eds), Mathematical Statistics and Applications, Reidel Publishing Company, Dordrecht, 1986, pp. 283-297.
3. Lopuhaä, H. P. and Rousseeuw, P. J. 'Breakdown properties of affine equivariant estimators of multivariate location and covariance matrices', Annals of Statistics, 19, 229-248 (1991).
4. Lopuhaä, H. P. 'On the relation between S-estimators and M-estimators of multivariate location and covariance', Annals of Statistics, 17, 1662-1683 (1989).
5. Campbell, N. A. 'Mixture models and atypical values', Mathematical Geology, 16, 465-477 (1984).
6. Campbell, N. A. and Mahon, R. J. 'A multivariate study of variation in two species of rock crab of the genus Leptograpsus', Australian Journal of Zoology, 22, 417-425 (1974).
7. Huber, P. J. Robust Statistics, Wiley, New York, 1981.
8. Rousseeuw, P. J. and Leroy, A. M. Robust Regression and Outlier Detection, Wiley, New York, 1987.